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Catherine Forbes
Monash University
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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1.
A Sparse Dynamic Factor Model for Clustered High-Dimensional Time Series
Number of pages: 40
Posted: 12 Feb 2024
Jianjie Shi
,
Dan Zhu
and Catherine Forbes
Monash University, Monash University - Department of Econometrics & Business Statistics and Monash University
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Abstract:
Dynamic Factor Model, Clustering, Dimension Reduction, Bayesian Markov Chain Monte Carlo
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